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The effects of currency depreciation on stock returns: evidence from five East Asian economies

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  • Wenshwo Fang
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    Abstract

    By using stock daily data for Thailand and the four Asian Tigers, this paper provides clear evidence that currency depreciation affects adversely stock returns and/or increases market volatility over the period of the Asian crisis 1997-1999. The implication is that international investors and fund managers who plan to invest in the East Asian newly emerging stock markets have to evaluate the stability of the foreign exchange markets before taking action.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850110054931&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 9 (2002)
    Issue (Month): 3 ()
    Pages: 195-199

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    Handle: RePEc:taf:apeclt:v:9:y:2002:i:3:p:195-199

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    Cited by:
    1. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
    2. Liang, Chin-Chia & Lin, Jeng-Bau & Hsu, Hao-Cheng, 2013. "Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach," Economic Modelling, Elsevier, vol. 32(C), pages 560-563.
    3. repec:ebl:ecbull:v:15:y:2005:i:6:p:1-9 is not listed on IDEAS
    4. Rodolfo Aquino, 2006. "A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 353-362.
    5. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia.
    6. Wang, Lihong, 2014. "Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 182-203.

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